Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 16 | 13 | 13 |
| Score | 4.05 | 2.28 | 2.26 |
| Market Cap (Millions USD) | 2043.62 | 1986.18 | 1941.55 |
| Predicted Beta | 0.52 | 0.51 | 0.5 |
| Idiosyncratic Volatility | 0.77 | 0.67 | 0.89 |
Annualized return and volatility
| IOO | |
|---|---|
| Annualized Return | 0.0438 |
| Annualized Std Dev | 0.1941 |
| Annualized Sharpe (Rf=0%) | 0.2259 |
Row
Daily Return Statistics
| IOO | |
|---|---|
| Observations | 4872.0000 |
| NAs | 242.0000 |
| Minimum | -0.1035 |
| Quartile 1 | -0.0049 |
| Median | 0.0004 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0058 |
| Maximum | 0.1205 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0001 |
| Stdev | 0.0122 |
| Skewness | 0.0318 |
| Kurtosis | 9.4294 |
Downside Risk
| IOO | |
|---|---|
| Semi Deviation | 0.0088 |
| Gain Deviation | 0.0089 |
| Loss Deviation | 0.0095 |
| Downside Deviation (MAR=210%) | 0.0135 |
| Downside Deviation (Rf=0%) | 0.0087 |
| Downside Deviation (0%) | 0.0087 |
| Maximum Drawdown | 0.5585 |
| Historical VaR (95%) | -0.0183 |
| Historical ES (95%) | -0.0293 |
| Modified VaR (95%) | -0.0174 |
| Modified ES (95%) | -0.0226 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2009-03-09 | 2013-08-02 | -0.5585 | 1472 | 348 | 1124 |
| 2000-12-12 | 2002-10-09 | 2006-04-27 | -0.4563 | 1373 | 464 | 909 |
| 2015-05-22 | 2016-02-11 | 2016-12-09 | -0.1729 | 398 | 186 | 212 |
| 2018-09-21 | 2018-12-24 | 2019-04-08 | -0.1691 | 138 | 66 | 72 |
| 2006-05-10 | 2006-06-13 | 2006-08-30 | -0.1043 | 80 | 24 | 56 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IOO | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 | NA |
| 2001 | 0.7 | -1.2 | 0.0 | 2.1 | 0.2 | 0.0 | 0.5 | 0.0 | 0.3 | 3.1 | 0.0 | 0 | 5.9 |
| 2002 | 0.0 | 2.3 | -0.3 | 1.0 | 0.0 | -0.3 | -3.0 | 0.0 | 4.3 | 1.9 | 0.0 | 0 | 5.8 |
| 2003 | 0.0 | 0.0 | 0.8 | 0.4 | 0.0 | -1.5 | -1.3 | 0.0 | 1.4 | 0.0 | 1.4 | 0 | 1.3 |
| 2004 | 0.0 | 1.0 | 0.5 | 0.0 | 0.0 | -1.1 | 0.0 | -0.2 | 1.8 | -0.3 | 0.9 | 0 | 2.5 |
| 2005 | 1.1 | 0.7 | -0.5 | 0.0 | 0.6 | -0.2 | 0.1 | 0.6 | 0.0 | -0.1 | 1.8 | 0 | 4.0 |
| 2006 | 0.2 | 0.6 | 0.0 | -0.6 | 0.8 | 0.0 | -0.5 | 0.5 | 0.0 | -0.3 | -0.4 | 0 | 0.3 |
| 2007 | 0.5 | -1.0 | 0.0 | 0.4 | 0.6 | 0.0 | 0.3 | 0.0 | 1.3 | -2.4 | 0.0 | 0 | -0.3 |
| 2008 | 1.3 | 0.0 | 3.4 | 1.0 | 0.0 | -0.1 | -0.7 | 0.0 | 0.0 | 0.0 | -7.9 | 0 | -3.4 |
| 2009 | 0.0 | 0.0 | 2.1 | 0.8 | 2.2 | 1.1 | 0.0 | -2.2 | -2.8 | 0.0 | 1.9 | 0 | 3.0 |
| 2010 | 1.6 | 0.6 | 0.9 | 0.0 | -1.4 | 0.4 | 0.0 | 3.3 | 0.9 | -0.3 | 2.5 | 0 | 8.7 |
| 2011 | 2.2 | -1.5 | 0.6 | 0.0 | -2.0 | 1.2 | -0.7 | -0.9 | 0.0 | -3.4 | -0.4 | 0 | -5.0 |
| 2012 | 1.0 | 0.8 | 0.0 | 0.5 | -2.1 | 0.0 | 0.1 | 0.0 | 0.7 | 0.8 | 0.0 | 0 | 1.6 |
| 2013 | 0.7 | -0.2 | -0.4 | -0.8 | 0.0 | 0.6 | 0.9 | 0.0 | 0.6 | -0.1 | 0.0 | 0 | 1.4 |
| 2014 | 0.0 | 0.0 | 0.4 | 0.0 | 0.0 | 0.7 | -0.5 | 0.0 | -1.2 | 0.0 | -0.2 | 0 | -0.8 |
| 2015 | 0.0 | 0.0 | -0.1 | 0.8 | -0.3 | 0.7 | 0.0 | -3.2 | 0.3 | 0.0 | 0.8 | 0 | -1.1 |
| 2016 | -0.1 | 2.5 | -0.1 | 0.0 | 0.1 | 0.2 | -0.4 | 0.0 | 0.0 | -0.5 | -0.1 | 0 | 1.8 |
| 2017 | 0.3 | 1.4 | 0.0 | 0.3 | 0.5 | 0.0 | 0.3 | 0.2 | 0.0 | 0.2 | -0.2 | 0 | 3.1 |
| 2018 | -0.1 | -1.5 | 0.0 | 0.0 | 1.1 | 0.0 | 0.2 | 0.0 | 0.6 | 1.0 | 0.0 | 0 | 1.4 |
| 2019 | -0.4 | 0.6 | 1.2 | -0.7 | 0.0 | 0.8 | -0.7 | 0.0 | -1.0 | 0.9 | 0.0 | 0 | 0.7 |
Row
Rolling Performance Chart
Snail Trail Chart
